CapeTools IR Engine
http://www.QuantTools.com
In total there are 9 functions present within the CapeTools IR Engine category of functions.
General Description
Functions to create several interest engines for the pricing of interest rate products (Caps, Floors, Swaptions and BondOptions). The following pricing engines can be constructed :
- G2 two-factor Swaption Engine (European and Bermudan options)
- Tree Swaption Engine (European and Bermudan options)
- Tree CapFloor Engine
- Black CapFloor Engine (European option only)
- Forward Libor Market Model Swaption Engine (used for calibration only)
- Jamshidian Swaption Engine (used for calibration only)
Function list.
- AnalyticCapFloorEngine - Creates an Analytic CapFloor Engine for pricing interest rate cap, floor structures.
- BlackCapFloorEngine - Creates a Black CapFloor Engine for pricing interest rate cap, floor structures.
- BlackSwaptionEngine - Creates a Black Swaption Engine for pricing interest rate Swaption.
- G2SwaptionEngine - Creates a G2 2 Factor Swaption Engine for pricing interest rate Swaptions.
- JamSwaptionEngine - Creates a Jamshidian Swaption Engine for pricing interest rate Swaptions.
- LFMSwaptionEngine - Creates a Forward Libor Market Model Swaption Engine for pricing interest rate Swaptions.
- TreeBondOptionEngine - Creates a Tree Bond Option Engine for pricing interest rate bond options (Fixed Coupon Bonds as well as FloatingRate Bonds).
- TreeCapFloorEngine - Creates a Tree CapFloor Engine for pricing interest rate CapFloors.
- TreeSwaptionEngine - Creates a Tree Swaption Engine for pricing interest rate Swaptions.
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